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Macrofinancial Stress Testing on Australian Banks

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
According to the Bank for International Settlements (BCBS 2010), financial crises have on average resulted in a cumulative loss of economic output (over several years) equivalent to over 60 per cent ... The Reserve Bank of Australia's Financial Stability
https://www.rba.gov.au/publications/rdp/2022/2022-03/full.html

Model Framework

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
The model is currently specified to be invariant to fiscal policy, the level of the cash rate and exchange rates, which are therefore omitted to keep it simple. ... The model is set to provide quarterly capital ratio projections over a set horizon, which
https://www.rba.gov.au/publications/rdp/2022/2022-03/model-framework.html

Credit Loss Modelling

20 Sep 2022 RDP 2022-03
Nicholas Garvin, Samuel Kurian, Mike Major and David Norman
It also enables the scenario to incorporate changes in interest rates or fiscal policy, if desired. ... Figure 5: Change in Business PD Estimates. Note: (a) Year-ended GDP growth.
https://www.rba.gov.au/publications/rdp/2022/2022-03/credit-loss-modelling.html